Relative efficiency of Gaussian stochastic process sampling procedures.

DOI10.1016/j.jcp.2003.07.012zbMath1037.65008OpenAlexW2015306612MaRDI QIDQ1418671

Chris J. Cameron

Publication date: 14 January 2004

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2003.07.012

zbMATH Keywords

samplingcomputational complexitynumerical examplesquadrature methodGaussian stochastic processesKolmogorov spectrumFourier-wavlet methodrandom wave numbers

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Stochastic integrals (60H05)

Related Items

Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism, Randomized spectral and Fourier-wavelet methods for multidimensional Gaussian random vector fields, Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations, On the existence and scaling of structure functions in turbulence according to the data, Comparative analysis of multiscale Gaussian random field simulation algorithms, Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields

Cites Work

• Parallel processing of random number generation for Monte Carlo turbulence simulation
• A wavelet Monte Carlo method for turbulent diffusion with many spatial scales
• A Fourier-wavelet Monte Carlo method for fractal random fields
• Ten Lectures on Wavelets
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